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Technical trading strategies and cross-national information linkage: the case of Taiwan stock market 

Authors: Yung-Ho Chang a;  Massoud Metghalchi b; Chia-Chung Chan a
Affiliations:   a Department of Finance, Tunghai University, Taichung, Taiwan
b School of Business, University of Houston-Victoria, Houston, Texas, USA
DOI: 10.1080/09603100500426374
Publication Frequency: 24 issues per year
Published in: journal Applied Financial Economics, Volume 16, Issue 10 June 2006 , pages 731 - 743
Formats available: HTML (English) : PDF (English)
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Abstract

This study tests four prevalent moving average technical trading rules for Taiwan stock markets. More notably, cross-national information from the US stock markets is also incorporated in our technical trading rules to project Taiwan stock market movements. We then design trading strategies and investigate their predictive power over buy-and-hold strategy. Our results suggest that technical trading rules are predictive for Taiwan stock markets. Applying the information reflected in the US stock markets to project Taiwan stock market movements is comparable to using Taiwan stock market information in isolation because these two markets are strongly correlated. Finally our results indicate that Leverage/Money strategy helps investors to beat buy-and-hold strategy.
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